ActiveX Problems

IE 6
Windows XP Pro

On certain sites, I am having trouble downloading or installing ActiveX and cookies. I have change my Security and Privacy settings, check for hijacks etc.. I have also made sure that my comp is not blocking the site etc.. Most of the time IE will just exit itself, or it will come up with a message saying It was unable to download and install the ActiveX controls. Also when connecting to a Game through an IP address, I can see other computers, but they cannot see me. I'm not sure if these are two different problems or one in the same. Any and all advice is welcomed. Thanks.

 

do you have a firewall setup? Software or through a router.